JCMello-
I too am trying to accomplish the same thing. I have suceeded in deleting the countries from the list but this does not have any effect on them showing up in the dropdown box for the user profile.
Interestingly enough, I have 2 DNN sites I am setting up. Logging in as the SU for one, I am able to delete countries from the list with no problem. The other site does not give me the option to delete as you showed in your screen shot above.
Hopefully someone will be able to shed some light on this for us.
If I figure out what is stopping me from deleting countries on the one site I will repost and let you know.
Good Luck.
PG